Mupen is kind of like a car; just without an engine or wheels. It can’t do much unless you install the engine and wheels. So basically, that’s what you need to do in order for it to work.
I wrote up a little tutorial on how to get it working.
If you’re new to a lot of things, I’ve got a custom OS that I’ve been maintaining. It’s got a lot of things that are tricky to set up pre made. It could be useful. I’ll be uploading a new update tomorrow.